I need to connect +/-5V and +/-12V supplies to a PCB and want to know the best way to design the connecting cable. Should I tie the GNDs together at the supplies and then bring a single ground wire to the PCB? I'm thinking about ground loops. The power cables also need to be shielded so should I just connect one end to ground at the power supply?
By "tie the GNDs together" I assume you mean tying the DC Common terminals of the power supplies together. So, yes in generalit is better to tie the grounds together as close to the power supplies as you can manage.
There are two reasons for doing this. First, you won't be relying on the PCB connections to connect the supplies. So, for example, if one of the ground connections fails at the PCB, the supply outputs will not float with respect to each other, potentially causing a problem in the connected circuitry.
Second, you may introduce voltage offsets between the two supply voltage pairs due to IR drops in separate connection geometries. This could also cause problems or accuracy issues in the connected circuitry.
Having said this, it is also possible under certain circumstances that you would want to tie the grounds together on the PCB for a specific reason of performance, accuracy, IR wire drop isolation, and similar. However, in this case you would still be susceptible to the first issue I described above.
You would tie only the one end of the power supply cable shield to the shared DC common connection at the power supplies to avoid a ground loop issue. If earth ground is available you might want to connect the shield to it instead of DC Common. It depends on the purpose of the shield. If, for instance, you run into EMI problems, you may want to try the earth ground connection to see if it helps the EMI situation. If you need to connect earth ground to some aspect of your internal circuitry (e.g. a shield around a component or circuit section), you may be forced to connect to both ends of the shield and live with the potential of an AC-coupled ground loop of some sort.